System and method for graphically displaying market related data using fixed size bars

ABSTRACT

A system and method are provided for displaying market related data, such as traded volume at each price level, or any other trader-selected values, using one or more fixed size bars. In one preferred embodiment, a graphical display interface is provided and includes a plurality of fixed size bars that display traded volume at different price levels. In such an embodiment, the length of each bar may correspond to a predefined maximum value, and each bar may be progressively color-coded using a first graphical format to represent traded volume that is lower than the maximum value. If the traded volume exceeds the maximum value, the overflow value may be represented by progressively color-coding the bar using a second graphical format that may be used in relation to the first graphical format color-coding.

CROSS REFERENCE TO RELATED APPLICATION

This application is a continuation of U.S. patent application Ser. No.10/785,816 filed Feb. 24, 2004, entitled “System and Method forGraphically Displaying Market Related Data Using Fixed Size Bars” thecontents of which are fully incorporated herein by reference.

FIELD OF INVENTION

The present invention is directed towards electronic trading. Morespecifically, the present invention relates to a system and method fordisplaying market and trader related data, such as traded volume relatedinformation, using fixed size bars.

BACKGROUND

An exchange is a central marketplace with established rules andregulations where buyers and sellers meet to trade. Some exchanges,referred to as open outcry exchanges, operate using a trading floorwhere buyers and sellers physically meet on the floor to trade. Otherexchanges, referred to as electronic exchanges, operate by an electronicor telecommunications network instead of a trading floor to facilitatetrading in an efficient, versatile, and functional manner. Electronicexchanges have made it possible for an increasing number of people toactively participate in a market at any given time. The increase in thenumber of potential market participants has advantageously led to, amongother things, a more competitive market and greater liquidity.

With respect to electronic exchanges, buyers and sellers may log onto anelectronic exchange trading platform by way of a communication linkthrough their user terminals. Once connected, buyers and sellers maytypically choose which tradeable objects they wish to trade. As usedherein, the term “tradeable object” refers to anything that can betraded with a quantity and/or price. Examples of tradeable objects mayinclude, but are not limited to, all types of traded events, goods,and/or financial products, which can include, for example, stocks,options, bonds, futures, currency, and warrants, as well as funds,derivatives and collections of the foregoing, and all types ofcommodities, such as grains, energy, and metals. The tradeable objectmay be “real,” such as products that are listed by an exchange fortrading, or “synthetic,” such as a combination of real products that iscreated by the user. A tradeable object could actually be a combinationof other tradeable object, such as a class of tradeable objects.

When a trader selects a tradeable object, traders may access market datarelated to the selected tradeable object(s). Referring to FIG. 1, anexample communication that might occur between an electronic exchangeand a client terminal in accordance with the preferred embodiments isshown. During a trading session, market data 108 in the form of messagesmay be relayed from a host exchange 106 over communication links 116 and112 to a client terminal generally indicated as 102. As illustrated inFIG. 1, intermediate devices, such as gateway(s) 104 may be used tofacilitate communications between the client terminal 102 and the hostexchange 106.

The market data 108 contains information that characterizes thetradeable object's order book including, among other parameters, orderrelated parameters, and the inside market, which represents the lowestsell price (also referred to as the best or lowest ask price) and thehighest buy price (also referred to as the best or highest bid price).In some electronic markets, market data may also include market depth,which generally refers to quantities available in the market at certainbuy price levels and quantities available in the market at certain sellprice levels.

In addition to providing the tradeable object's order book information,electronic exchanges can offer different types of market informationsuch as total traded quantity for each price level, last traded price,last traded quantity, or order fill information. Typically, a trader mayview the information provided from an exchange via one or morespecialized trading screens created by software running on the clientterminal 102. Upon viewing the market information or a portion thereof,a trader may wish to take actions, such as send orders to an exchange,cancel orders at the exchange, or change order parameters, for example.To do so, the trader may input various commands or signals into theclient terminal 102. Upon receiving one or more commands or signals fromthe trader, the client terminal 102 may generate messages that reflectthe actions taken, generally shown at 110. It should be understood thatdifferent types of messages or order types can be submitted to the hostexchange 106, all of which may be considered various types oftransaction information. Once generated, user action messages 110 may besent from the client terminal 102 to the host exchange overcommunication links 114 and 116.

To profit in electronic markets, market participants must be able toassimilate large amounts of data in order to recognize market trends andto view current market conditions. Among many different market datatypes, a trading screen on the client terminal 102 may display volumethat has been traded for a tradeable object at different price levelsduring a trading day, often referred to as volume at price. In theembodiment illustrated in FIG. 1, the client terminal 102 or the gateway104 may receive market updates from the host exchange 106, and may usethe information provided in the updates to calculate the traded volumefor each price level. Alternatively, the traded volume may be calculatedat the host exchange 106 and may be sent to the client terminal 102 inmarket data updates. Once the traded volume is calculated and receivedat the client terminal 102, the traded volume data may be displayed viaa trading screen on the client terminal 102. To illustrate this further,FIGS. 2A and 2B show a type of graphical user interface that may be usedto display traded volume related data.

FIG. 2A shows a graphical interface 200A that can be displayed on atrading screen of the client terminal 102 to show traded volume relatedinformation in relation to the market's order book related data. Inparticular, the interface 200A shows aggregate buy and sell orders thatare currently in the market, as illustrated in columns 204 and 206. Thebuy and sell order quantities are shown in relation to prices displayedin a price column 208. For instance, the best bid is for a quantity of120 at a price of 140, and the best ask is for a quantity of 75 at aprice of 141. Other bids and asks are shown for illustrative purposes.The interface 200A also shows graphical representation of traded volumerelated information for different price levels. In the embodimentillustrated in FIG. 2A, the traded volume is displayed using a bar chartincluding a horizontal bar at each price level. The graphical interface200A illustrates four bars 210A-216A corresponding to traded volume of25, 50, 100, and 75, respectively, at four price levels 142-139. In theillustrated embodiment, the maximum length of the longest bar, the barcorresponding to the quantity of 100 in this example, may correspond tothe highest traded volume value, and the length of other bars may beautomatically adjusted when the highest traded volume value changes.Therefore, in other words, the longest bar corresponds to the highesttraded volume, and, as the traded volume corresponding to the longestbar increases, the other bars are auto-scaled to represent its tradedvolumes as percentages of the highest traded volume.

FIG. 2B shows the same interface of FIG. 2A upon detecting a change in avalue of the highest traded volume. More specifically, the traded volumeat the price of 140 has changed from 100 to 200, while the maximumlength of the bar 214B remained constant compared to the bar 214A.Consequently, even thought the traded volume values at the price levels,other than 140, have not changed, the lengths of the bars 210B, 212B,and 216B, have been adjusted based on the new maximum traded volumevalue corresponding to the bar 214B. Since the length of the bars canchange even when a traded volume value at a specific price level doesnot, such implementation may be confusing to a trader who wishes tomonitor traded volume values at different price levels. In a differentembodiment, a trader could be given the ability to manually rescale thedisplayed bars, such as to make one or more bars longer, for example, toplot the progressively increasing traded volume. However, such a methodcould also turn out very burdensome to a trader, forcing the trader tofocus his attention on monitoring the traded volume and then,responsively, rescaling the bars to view the desired information. It istherefore desirable to offer user-friendly tools that can assist amarket participant in making desirable trades while reducing the risksassociated with misreading market information provided to a trader.

BRIEF DESCRIPTION OF THE DRAWINGS

Example embodiments of the present invention are described herein withreference to the following drawings, in which:

FIG. 1 is a block diagram that illustrates an example networkconfiguration for a communication system utilized to access one or moreexchanges;

FIGS. 2A and 2B are block diagrams illustrating a graphical interfacefor displaying market related information, and further displaying totaltraded volume values controlled by a conventional method;

FIG. 3 is a block diagram illustrating an example client terminal thatcan be used to carry out the embodiments of the present invention;

FIG. 4 a flowchart illustrating an example method for displaying userselected values, such as traded volume, using a fixed size bar chartaccording to one example embodiment;

FIG. 5 is a block diagram illustrating a screen display in accordancewith one preferred embodiment for displaying traded volume using fixedsize bars;

FIGS. 6A-6C are block diagrams illustrating three screen displays fordisplaying traded volume using fixed size bars based on different scalesaccording to one example embodiment; and

FIG. 7 is a block diagram illustrating another screen interface that canbe used for displaying traded volume using fixed size bars and fortrading according to one example embodiment.

DETAILED DESCRIPTION I. Volume Representation Using Fixed Size Bars

The present invention includes methods, systems, and graphicalinterfaces that provide tools to be used by a trader for electronictrading. By using preferred embodiments, a trader is provided tools thatcan assist the trader in effectively monitoring market activity.

In one preferred embodiment, a graphical display uses a fixed size scaleas a reference to display market related or any trader related values,such traded volume, market depth, trader's profit/loss data, or anyother data that can be calculated based on market updates being receivedfrom an electronic exchange or data received from other sources. Morespecifically, according to one example embodiment, a display may includea fixed size bar chart including a plurality of fixed size barsdisplayed in relation to a plurality of price levels, and the length ofeach fixed size bar corresponds to a preset maximum value. In oneexample embodiment, each bar may be progressively color-coded torepresent, for example, traded volume at the respective price level.Preferably, when the traded volume exceeds the preset maximum valuecorresponding to the length of the bar, the overflow volume may berepresented using a second graphical format. For example, a portion ofthe bar may be highlighted using a different color than the one used torepresent the maximum traded quantity. It should be understood, and aswill be described in greater detail hereinafter, the first and secondgraphical formats can be illustrated using many different indicatortypes, such as two or more indicators moving across the bar, where anindicator type and a position of the indicator in relation to the barmay be used by a trader to determine when the traded volume crossesmultiples of the maximum value associated with the length of the fixedsize bar.

Also, it should be understood that the embodiments described hereinaftermay be used in combination with automatic or manual rescaling methods.For example, the fixed size bar volume representation may be used untilthe volume reaches a preset value, such as “N” times the volumeassociated with the length of the fixed size bar, at which point atrader may be given the ability to resize the bars such that a newlength of the bar will correspond to a higher value, for example. Itshould be understood that a trader could also resize the fixed size barsso that the length of the bar will correspond to a lower value.

While the present invention is described herein with reference toillustrative embodiments for particular applications, it should beunderstood that the present invention is not limited thereto. Othersystems, methods, and advantages of the present embodiments will be orbecome apparent to one with skill in the art upon examination of thefollowing drawings and description. It is intended that all suchadditional systems, methods, features, and advantages be within thescope of the present invention, and be protected by the accompanyingclaims.

II. Hardware and Software Overview

As will be appreciated by one of ordinary skill in the art, the presentembodiments may be operated in an entirely software embodiment, in anentirely hardware embodiment, or in a combination thereof. However, forsake of illustration, the preferred embodiments are described in asoftware-based embodiment, which is executed on a computer device. Assuch, the preferred embodiments take the form of a computer programproduct that is stored on a computer readable storage medium and isexecuted by a suitable instruction system in the computer device. Anysuitable computer readable medium may be utilized including hard disks,CD-ROMs, optical storage devices, or magnetic storage devices, forexample.

FIG. 3 is a block diagram illustrating a client terminal 300 with anumber of layers defining different stages that may be used to implementembodiments of the present invention. The client terminal 300 can be acomputer, such as a workstation, desktop, handheld device, and so forth,that allow a trader to trade one or more tradeable objects that areoffered at exchanges. The client terminal 300 includes a tradingapplication 302, a volume display controller 304, and interfaces 306.The client terminal 300 may also include at least a processor and memory(both of which are not shown in the figure, but are well-known computercomponents). Preferably, the processor has enough processing power tohandle and process various types of market information. The more marketinformation is received and processed, the more processing power ispreferred. However, any present day processor has enough capability toperform at least the most basic part of the present invention. Also, itshould be understood that memory may include any computer readablemedium. The term computer readable medium, as used herein, refers to anymedium that participates in providing instructions to a processor unitfor execution.

Preferably, the trading application 302 has access to market informationthrough the interfaces 306, such as through an application programminginterface (“API”), and the application 306 can also forward transactioninformation to the host exchange 308 via the API. In a preferredembodiment, when the trading application 302 receives market informationfrom the exchange 308, it may arrange and display the received marketinformation in many different ways, depending on how the trader prefersto view the information, on the visual output display devices 310. Thedisplay devices 310 could be a CRT-based video display, an LCD-baseddisplay, a gas plasma-panel display, a display that showsthree-dimensional images, or a different display type. In the preferredembodiment, the trading application 302 creates specialized interactivescreens that enable traders to, among other things, enter and executeorders, obtain market quotes, and monitor positions. The range andquality of features available to the trader on his or her trading screenmay vary according to the specific software application being run. Inaddition to or in place of the interactive screens, the client terminal102 could run automated types of trading applications. The tradingapplication 302 may also receive input signals from traders via inputdevices 312. The input devices can include, for example, a mouse, akeyboard, or any other input means selected by a user.

The preferred embodiment may be implemented on any type of tradingscreen, therefore, details regarding the trading screen are notnecessary to understand the present invention. However, in oneembodiment, one type of trading screen that can be used is provided by acommercially available trading application referred to as X_TRADER® fromTrading Technologies International, Inc. of Chicago, Ill. X_TRADER® alsoprovides an electronic trading interface, referred to as MD Trader™, inwhich working orders and/or bid and ask quantities are displayed inassociation with a static price axis or scale. Portions of the X_TRADER®and the MD Trader™-style display are described in U.S. patentapplication Ser. No. 09/590,692, entitled “Click Based Trading WithIntuitive Grid Display of Market Depth,” filed on Jun. 9, 2000, U.S.patent application Ser. No. 09/971,087, entitled “Click Based TradingWith Intuitive Grid Display of Market Depth and Price Consolidation,”filed on Oct. 5, 2001, U.S. patent application Ser. No. 10/125,894,entitled “Trading Tools For Electronic Trading,” filed on Apr. 19, 2002,and U.S. patent application Ser. No. 10/376,417, entitled “A System andMethod for Trading and Displaying Market Information in an ElectronicTrading Environment,” filed on Feb. 28, 2003, the contents of each areincorporated herein by reference. However, it should be understood thatorders in the system illustrated in FIG. 1 could also be placed usingany other trading application as well. Additionally, the preferredembodiments are not limited to any particular product that performstranslation, storage, and display functions.

The volume display controller 304 is preferably a software applicationthat interfaces with the trading application 302 to display and updatetraded volume or other user selected values at different price levels.The embodiments described hereinafter will be generally described inreference to the traded volume at price. However, it should beunderstood that different data types could be displayed using bar chartlike displays that will be described in relation to subsequent figures.For example, the embodiments described hereinafter can be used todisplay statistical data, theoretical data, any calculated data, such astrader's profit/loss data, or any other market related data, such asmarket depth at different price levels. In a preferred embodiment, thevolume display controller 304 uses a fixed scale chart, such as a barchart including a plurality of fixed size bars displayed in relation toa plurality of price levels, the embodiments of which will be describedin greater detail below. It should be understood that the volume displaycontroller 304 may be configured to work with any type of tradingdisplay to provide the functionality described hereinafter.

III. Volume Representation Using Fixed Size Bars

The following are features of the preferred embodiments that providespecific functionalities to electronic trading. The functionalitiesinclude the ability to display quantity related information, such astraded volume, depth, or any other statistical, theoretical, orcalculated values, using a fixed size scale as a reference. Morespecifically, the preferred embodiments provide a display that uses afixed size bar chart that displays the selected value type. In onepreferred embodiment, each bar may be, for example, progressivelycolor-coded to display an increasing traded quantity. In such anembodiment, for example, if traded volume being displayed in relation toa specific price level reaches a value that is higher than a maximumquantity value corresponding to a fixed size bar, such bar may beprogressively highlighted to display the quantity overflow. It should beunderstood that different graphical formats could be used to representthe overflow, example embodiments of which will be described in relationto subsequent figures.

FIG. 4 is a flowchart illustrating an example method for displayingvalues, such as traded volume, using a fixed size bar chart. Theflowchart of FIG. 4 shows the functionality and operation of a possibleimplementation of the present embodiments. In this regard, each blockmay represent a module, a segment, or a portion of code, which includesone or more executable instructions for implementing specific logicalfunctions or steps in the process. It should be understood thatalternate implementations are included within the scope of the preferredembodiment of the present invention in which functions may be executedout of order from that shown or discussed, including substantiallyconcurrently or in reverse order, depending on the functionalityinvolved, as would be understood by those reasonable skilled in the artof the present invention. Also, the method 400 will be described inrelation to the components illustrated in FIG. 3; however, it should beunderstood that different components could also be used to execute themethod.

Referring to FIG. 4, at step 402, the volume display controller 304 mayprovide a fixed size scale to be used as a reference to represent atraded volume at a number of price levels. In the preferred embodiment,a maximum value on the fixed size scale may be used as a reference todefine a length of each fixed size bar, such that the length of each barcorresponds to a predetermined maximum traded quantity. It should beunderstood that the maximum traded quantity corresponding to each barmay be user configurable. The steps of the method 400 will be describedin reference to the traded volume; however, it should be understood thatdifferent data types could also be represented using the embodimentsdescribed herein. Some of the data types that can be displayed using thefixed size bars may include depth data, statistical data, theoreticaldata, or any other data types calculated based on updates being providedfrom an exchange or from any other source. Also, while the method fordisplaying traded volume is described in relation to fixed size bars,the method can be used in relation to different graphicalrepresentations, including, but not limited to, spirals forms, where a360 degree movement around a portion of the spiral corresponds to apreset maximum value, for example, and the multiples of the 360 degreesmay correspond to the multiples of the maximum value. Alternatively,circular band representations could be used, where each circular bandcorresponds to a maximum quantity value, for example.

At step 404, the trading application 302 receives a market update froman exchange. In one embodiment, the market update may be in a datastructure format, and an exchange can send the data structures through anumber of intermediate devices, such as gateways, for example.Generally, a data structure may include various market information, suchas last traded quantity (“LTQ”), total traded quantity (“TTQ”), lasttraded price (“LTP”), pending bid/ask quantities at different pricelevels, and other market related or trader related information. Itshould be understood that exchanges can provide different datastructures, and, depending on the exchange, the data structures mayinclude different information.

At step 406, the trading application 302 determines a traded quantityvalue for at least one price level. Exchanges generally provide marketupdates using a variety of methods that may affect a method ofcalculating traded quantities. According to one method, for example, anexchange, such as Eurex, may provide periodic updates of marketinformation to the connected client terminals. In such an embodiment,the exchange can provide updates at predetermined time intervals, andeach update can reflect aggregate changes in the market that occurredduring the predetermined time interval until the price change. Accordingto another method, an exchange, such as Chicago Mercantile Exchange(“CME”) may provide an update each time the market changes. For example,if three subsequent fills of 5, 5, and 12, are detected for the sameprice level, Eurex may provide three updates of 5, 10, and 22, atpredetermined time intervals, while CME may provide three subsequentupdates of 5, 5, and 12 once the respective fills are detected.

According to one example embodiment, if an exchange provides updateseach time the market changes, the trading application 302 would receivean update including an LTQ and an LTP for each market change. In suchembodiment, the trading application 302 could determine the tradedvolume for each price level by simply matching the received LTQ withspecific price level, and then summing the traded quantitiesaccordingly. If an exchange provides periodic updates corresponding toan aggregate traded quantity for the last traded price level, thetrading application 302 may use the values in the received updates inaddition to the TTQ to estimate traded quantities for each price level.For example, if the first update includes an LTQ of 10 at the pricelevel of 100 and the TTQ of 110 (10@100, 110), and, if the next updateincludes (22@100, 122), the trading application 302 may simply add thequantities of 10 and then 12 to the traded volume value at the pricelevel of 100. However, if the two updates include (22@100, 122) and(24@100, 153), the first look at the LTQ and LTP would suggest that thequantity of 2 has been traded at the price of 100 during the timebetween the two updates. However, using the TTQs from the two updates,the trading application 302 can determine that the quantity of 31 hasbeen traded between the two updates. Therefore, based on the TTQdifference, the trading application 302 may determine that the markethas moved away from the price level of 100 during the time between thetwo updates, and that the quantity of 7 has traded at some price levelother than 100, before the quantity of 24 has been traded back at theLTP of 100. In such an embodiment, the trading application 302 may addthe quantity of 7 to the traded quantities at the price levels of 101 or99, depending on the system configuration. However, it should beunderstood that the trading application 302 could be configured to usedifferent methods to distribute the quantity of 7 between one or moreprice levels. It should be understood that the embodiments describedherein are not limited to any specific data formats in which data are tobe received from an exchange, or to any algorithms to be used tocalculate desired values using the received data.

In addition to determining traded volume for each price level, thetrading application 302 may also attempt to distinguish whether thetraded quantity was associated with a buy or a sell so that a trader canmonitor the strength of the buying and/or selling activities. In oneembodiment, the trading application 302 may determine whether atransaction corresponds to a buy or a sell using the LTP and the insidemarket information provided in a market update received from anexchange. For example, if the LTP specified in the received update isequal to or lower than the current bid, then, the trading application302 may consider the LTQ as a sell, since one or more offers havematched the price level of the existing bid. Thus, if an offer hasinitiated the transaction, the traded quantity may be considered a sell.Similarly, if the LTP is equal to or higher than the current ask, thenthe traded application 302 may consider the corresponding LTQ to be abuy, since a bid has matched a pending offer. Thus, if a quantity hasbeen traded at a price level equal to or higher than the best ask, thequantity may be added to the total buy volume at the respective price.Then, if a quantity has been traded at a price level equal to or lowerthan the best bid, the quantity may be added to the total sell volume atthe price.

Referring back to FIG. 4, when the trading application 302 determinesthe traded quantity, such as the total traded volume or the totalbuy/sell volume, at step 408, the volume display controller 304 maydetermine if the calculated traded volume is higher than the maximumvalue corresponding to the fixed scale. If the traded volume is nothigher than the maximum value, at 410, the volume display controller 304may use the first graphical format to represent the calculated volume inrelation to a fixed size bar associated with a price level at which thecalculated volume has been traded, and the method 400 may continue at404. In one embodiment, the fixed size bar may be color-coded torepresent the level of the calculated value. However, differentembodiments could also be used, such as using different types ofindicators that move along the bar, or different highlighting formats.

Referring back to step 408, if the calculated volume is higher than themaximum value corresponding to the fixed scale, at step 412, the volumedisplay controller 306 may first use the first graphical format torepresent the maximum value in relation to a fixed size bar, and thenmay use a second graphical format in relation to the same bar torepresent a quantity overflow (a difference between the calculatedtraded volume and the maximum value associated with the fixed size bar).In such an embodiment, for example, the entire bar may be color-codedusing a first graphical format, and then a portion of the bar may behighlighted using another graphical format to represent the overflow.The same method using different graphical formats can be used torepresent traded volume that crosses twice the maximum threshold.Therefore, using the method described above, each bar may represent anytraded quantity including multiples of the maximum traded quantitywithout the need of rescaling the bars based on the maximum tradedquantity, as in prior art systems. However, as mentioned earlier, theembodiments for displaying traded quantities using fixed size bars maybe combined with providing to a trader the ability to rescale the bars,such as, for example, when the traded volume reaches a certain multipleof the maximum quantity volume corresponding to a bar.

The examples provided in relation to subsequent figures illustrate somefeatures of the present embodiments. Description of these examples isprovided for convenience only. Also, it should be understood that it isnot intended for the invention to be limited to application in theillustrated graphical interfaces. After reading the followingdescription of the examples, it will become apparent to a person skilledin the relevant art how to implement the invention in alternativetrading screen environments.

FIG. 5 is a block diagram illustrating a screen display 500 inaccordance with the preferred embodiments for displaying tradedquantities using fixed size bars. In particular, the screen display 500includes a first axis 502 illustrating a plurality of indicatorsassociated with a wide range of user selectable information related to atradeable object. More specifically, the axis 502 depicts the highesttraded price of 99050 at 504, and the lowest traded price of 97650 at506. Also, two indicators 508 and 510 are displayed in relation to theaxis 502, and the indicators correspond to the opening price and thelast traded price corresponding to a current trading session,respectively.

The display 500 also includes a bar-like indicator 512 displayed inrelation to the axis 502. The indicator 512 illustrates a view of thedisplay 518 that is scaled in relation to the maximum and minimum pricelevels 504 and 506. It should be understood that the extent of pricesillustrated with the indicator 512 may depend on the type of hostexchange providing market depth. For instance, some host exchangesprovide market depth for all or many price levels, while some limit itto only a few price levels. In one preferred embodiment, the price rangeassociated with the indicator 512 corresponds to the price range shownin relation to the bars depicted to the right of the indicator 512 thatcorresponds to the current market depth prices, for example. Thus, usingsuch an embodiment, a trader can quickly view the current marketposition as compared to the highest and lowest prices during a tradingday, or as compared to other user-selected prices during longer orshorter time intervals. It should be understood that the presentinvention is not limited to displaying traded volume in relation toprices corresponding to the current market depth prices, and tradedvolume values could be displayed in relation to more or fewer prices aswell.

The display 500 also includes a display region 518 for displaying tradedquantities using a plurality of fixed size bars 522-532. The fixed sizebars 522-532 may be statically positioned in relation to a value axis556, so that the bars don't change their positions until a repositioningcommand is detected, for example. In the embodiment illustrated in FIG.5, each fixed size bar is associated with a single price level displayedwithin each bar, and the length of each bar corresponds to a value of1000 predefined with a bar scale indicator 520. It should be understoodthat a trader could preferably change the scale to be used in relationto each bar by simply changing the value corresponding to the scaleindicator 520. Also, while FIG. 5 illustrates prices displayed withineach bar, it should be understood that different embodiments arepossible as well. For example, only some rather than all prices can bedisplayed in relation to the bars, alternatively, no price levels couldbe displayed at all. Also, alternatively, each bar may correspond tomore than one price level, such as two or more consolidated pricelevels, for example. Further, rather than associating each bar with aspecific price level or consolidated price levels, each bar may beassociated with a specific time or with a specific time interval duringa trading session. In such an embodiment, each bar may display anynumerical trader-related data, such as trader's profit/loss (“P/L”) atdifferent points during a trading session.

In the embodiment illustrated in FIG. 5, each bar is used to graphicallydisplay the traded volume at the price level corresponding to the bar.More specifically, at least a portion of each bar may be color-coded torepresent the traded volume, such as illustrated at 522 a in relation tothe bar 522, for example. Also, as will be illustrated in relation tothe subsequent figures, when the traded volume exceeds a maximum valuepredefined for a bar, the overflow volume could be represented using adifferent graphical format than the one used to represent the tradedvolume that was lower than the maximum value. For example, the overflowvolume could be illustrated by shading the color-coded bar. However, itshould be understood that a trader could configure different graphicalformats to be used to represent the traded volume values.

Additionally, according to one example embodiment, a trader could usethe interface 500 to submit orders to an exchange. For example, theinterface 500 could display a number of quantity selectors correspondingto different quantity values that a trader could use to select a desiredquantity level. In one embodiment, a trader could then select a pricelevel for an order by simply clicking in relation to a bar correspondingto a desired price level. In such an embodiment, a right click of amouse could correspond to a buy, while a left click could correspond toa sell. Also, orders may be submitted using order tickets that willallow a trader to define order parameters. However, it should beunderstood that different embodiments are possible as well.

FIGS. 6A-6C are block diagrams illustrating screen displays 600A, 600B,and 600C for displaying traded quantities using fixed size bars based onthree different scales. In particular, each display includes thefeatures that have been described in reference to FIG. 5. Referring toFIGS. 6A-6C, the screen displays 600A-C include a first axis 602defining the highest traded price of 116.22 at 604, the lowest tradedprice of 115.51 at 606, the opening price indicator 608, and the lasttraded price indicator 610. The displays also include a bar likeindicator 612 illustrating a scaled range of prices displayed inrelation to the display 624, an indicator 614 corresponding to adifference between the current last traded price compared to the lastday's settlement price, and an indicator 616 displaying a total quantitythat has been traded during a trading day.

Display regions 600A, 600B, and 600C are used to display the same tradedvolume related data using three different scales of 2000, 1000, and 750,respectively. As described in reference to FIG. 5, the three scales areused as a reference to display traded quantities in relation to the barscorresponding to each display region. Referring to FIG. 6A, the lengthof each bar corresponds to the quantity value of 2000, and each bar iscolor-coded to represent the quantity traded at the price levelcorresponding to each bar, with the quantity value at the price level of116.02 being the closest one to 2000.

Referring now to FIG. 6B with a price scale now set to 1000, thequantities at the price levels of 116.02, 116.01, 116.00, and 115.99 nowexceed the value of 1000 corresponding to the length of each bar set bythe scale. Since the traded quantities at the four price levels exceed amaximum value to be represented with each bar, the overflow volume canbe represented using a different graphical format. For example,referring to the bar corresponding to the price level of 116.02, thearea corresponding to the bar may be color-coded using a first graphicalformat, and the overflow quantity may be represented by color-coding thebar using a second graphical format, such as illustrated at 628. Itshould be understood that color-coding, highlighting, or moving anyother user-configured indicators in relation to each bar is not limitedto any specific direction, and the direction of any movement could beuser-configurable.

Similarly, referring to FIG. 6C, where the scale to be used in relationto the bars is set to 750, the order quantities at the price levels of116.02 and 116.01 exceed a value corresponding to twice the length ofthe bars, i.e., 1500. As illustrated in reference to the bar at theprice level of 116.02, for example, the traded quantity is representedusing three graphical formats, a first graphical format 632corresponding to the quantity range between 0-750, a second graphicalformat 634 corresponding to the quantity range between 751-1500, and athird graphical format 636 corresponding to the remaining quantitytraded at that price.

While the example embodiments for representing traded quantities havebeen described in reference to FIGS. 5 and 6A-6C using bar chart formatrepresentation, different graphical representations could also be usedto represent traded quantities or other user-selected values. Forexample, traded quantities or other trader-selected values could berepresented using different shapes, such as circles or any otheruser-selected forms. Also, it should be understood that methods andgraphical representations used for displaying overflow quantities couldbe user-configurable. For example, rather than color-coding each bar, aline moving across each bar could be used, while a format/color of theline may change, or different lines could be used, to represent aquantity that crosses every multiple of the maximum value associatedwith the bar. Alternatively, it should be understood that differentuser-configurable indicators could be used in relation to the fixed sizebars as long as a trader can visually identify when a traded quantity ishigher than a predetermined multiple of a maximum traded quantitycorresponding to the length of each bar.

FIG. 7 illustrates another screen display 700 that may be used for orderentry and for displaying traded quantity related information inaccordance with the preferred embodiments. Once again, the screendisplay 700 includes an axis 702 defining a rage of prices between thehighest traded price of 116.22 at 704, and the lowest traded price of115.51 at 706. Three indicators including a last traded price indicator708, an opening price indicator 710, and an indicator 712 illustrating ascaled version of a price range displayed in the price column 716.However, it should be understood that the display 700 may be configuredsuch that the axis 702 and the accompanying indicators are notdisplayed.

The display 700 also arranges the market information in an easy to readfashion by orienting the bid and ask quantities as shown at 714 and 718along a common price axis 716. The representative prices for the giventradeable object are shown in a price column, where the prices arearranged in a numerical order in increments. It should be understoodthat prices may be of the static-type, such as when prices normally donot move until a repositioning command is received, or of thedynamic-type, such as when prices normally move. A display like the oneshown in FIG. 7 also allows a trader to enter orders by selecting aprice cell that is situated along the common price axis 716. Moreinformation related to placing orders using the display illustrated inFIG. 7 can be found in the application referenced above in relation toFIG. 3.

The display 700 also includes a plurality of fixed size bars 720displayed in relation and corresponding to a plurality of price levels.More specifically, the bars in FIG. 7 are displayed in relation to theask column 718; however, it should be understood that the bars could bedisplayed in relation to any axis. In the illustrated embodiment, thefixed size bars 720 are controlled using a scale of 1000; however, asdescribed in relation to previous figures, different scales could alsobe used.

The above description of the preferred embodiments, alternativeembodiments, and specific examples, are given by way of illustration andshould not be viewed as limiting. Further, many changes andmodifications within the scope of the present embodiments may be madewithout departing from the spirit thereof, and the present inventionincludes such changes and modifications.

It will be apparent to those of ordinary skill in the art that methodsinvolved in the system and method for displaying traded volume usingfixed size bars in an electronic trading environment may be embodied ina computer program product that includes one or more computer readablemedia. For example, a computer readable medium can include a readablememory device, such as a hard drive device, CD-ROM, a DVD-ROM, or acomputer diskette, having computer readable program code segments storedthereon. The computer readable medium can also include a communicationsor transmission medium, such as, a bus or a communication link, eitheroptical, wired or wireless having program code segments carried thereonas digital or analog data signals.

The claims should not be read as limited to the described order orelements unless stated to that effect. Therefore, all embodiments thatcome within the scope and spirit of the following claims and equivalentsthereto are claimed as the invention.

1. A graphical user interface for displaying data for use in anelectronic trading system, the graphical user interface comprising: aprice axis for displaying price levels corresponding to a tradeableobject being traded at an electronic exchange; and a plurality of fixedsized display areas displayed in relation to the price axis fordisplaying tradeable object related information, each fixed sizeddisplay area corresponding to one of the plurality of price levels andhaving a fixed size corresponding to a maximum value reference, whereineach fixed sized display area is the same size, wherein tradeable objectinformation corresponding to a price level is displayed in acorresponding fixed sized display area using at least two graphicalformats: a first graphical format is used to display values that arelower than the maximum value reference, and a second graphical format isused to display values that are higher than the maximum value reference.2. The graphical user interface of claim 1, wherein the tradeable objectrelated information comprises traded volume at the price level.
 3. Thegraphical user interface of claim 2, wherein the quantity tradedrepresents a traded volume.
 4. The graphical user interface of claim 1,wherein the first graphical format comprises a first highlighting style,and the second graphical format comprises a second highlighting style.5. The graphical user interface of claim 4, wherein each fixed sizedisplay area is progressively highlighted using a first color torepresent values that are lower than the maximum value reference.
 6. Thegraphical user interface of claim 5, wherein each fixed size displayarea is progressively highlighted using at least one second color torepresent values that are higher than the maximum value reference. 7.The graphical user interface of claim 1, wherein the first graphicalformat comprises a first indicator that moves in a first direction alonga particular fixed size display area to represent values that are loweror equal to the maximum value reference, and wherein the secondgraphical format comprises a second indicator that moves opposite to thefirst direction along the particular fixed size display area torepresent values that are higher than the maximum value reference. 8.The graphical user interface of claim 1, wherein the maximum valuereference is configurable.
 9. The graphical user interface of claim 1,further comprising: a time axis for displaying a plurality of times; anddisplaying trader-related information in relation to each of theplurality of times.
 10. The graphical user interface of claim 1, whereinprices displayed in relation to the price axis are static.
 11. Thegraphical user interface of claim 1, wherein prices displayed inrelation to the price axis are dynamic.
 12. The graphical user interfaceof claim 1, wherein the plurality of fixed size display areas comprise aplurality of fixed sized bars.
 13. The graphical user interface of claim1, wherein a third graphical format is used to display values that areat least two times higher than the maximum value reference.
 14. Thegraphical user interface of claim 13, wherein the first graphical formatcomprises a first indicator that moves in a first direction along aparticular fixed size display area to represent values that are lower orequal to the maximum value reference, and wherein the third graphicalformat comprises a second indicator that also moves in the firstdirection along the particular fixed size display area to representvalues that are at least two times higher than the maximum valuereference.
 15. The graphical user interface of claim 1, furthercomprising an order entry region aligned with the price axis, the orderentry region comprising a plurality of locations for receiving commandsto send trade orders to the electronic exchange.